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Effect of S&P500's return on emerging markets: Turkish experience

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Author Info
Hakan Berument
Onur Ince

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Abstract

This study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to capture the effect, a block recursive VAR model is built, allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from daily data suggest that returns on S&P500 affect ISE return positively up to four days.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 1 (2005)
Issue (Month): 1 (January)
Pages: 59-64
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Handle: RePEc:taf:apfelt:v:1:y:2005:i:1:p:59-64

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  5. Cushman, David O. & Zha, Tao, 1997. "Identifying monetary policy in a small open economy under flexible exchange rates," Journal of Monetary Economics, Elsevier, vol. 39(3), pages 433-448, August. [Downloadable!] (restricted)
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  6. Campbell, John Y & Hamao, Yasushi, 1992. " Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Journal of Finance, American Finance Association, vol. 47(1), pages 43-69, March. [Downloadable!] (restricted)
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  7. Ayadi, O. Felix & Dufrene, Uric B. & Chatterjee, Amitava, 1998. "Investment implications of the korean financial market reform," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 83-94. [Downloadable!] (restricted)
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  10. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June. [Downloadable!]
  11. Sims, Christopher A., 1992. "Interpreting the macroeconomic time series facts : The effects of monetary policy," European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June. [Downloadable!] (restricted)
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  12. Gordon, David B & Leeper, Eric M, 1994. "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-47, December. [Downloadable!] (restricted)
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  13. Cha, Baekin & Oh, Sekyung, 2000. "The relationship between developed equity markets and the Pacific Basin's emerging equity markets," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 299-322, October. [Downloadable!] (restricted)
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  15. Sewell, Susan P, et al, 1996. "Using Chaos Measures to Examine International Capital Market Integration," Applied Financial Economics, Taylor and Francis Journals, vol. 6(2), pages 91-101, April. [Downloadable!] (restricted)
  16. Zha, Tao, 1999. "Block recursion and structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 90(2), pages 291-316, June. [Downloadable!] (restricted)
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